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Natural disasters, stock price volatility in the property-liability insurance market and sustainability : an unexplored link

Montero, José-María; Naimy, Viviane; Farraj, Nermeen Abi - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014528750

Sovereign debt dynamics in a stochastic environment

Sulstarova, Astrit - 2008

Persistent link: https://www.econbiz.de/10003718825

Range-based covariance estimation using high-frequency data : the realized co-range

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Box-Cox stochastic volatility models with heavy-tails and correlated errors

Zhang, Xibin; King, Maxwell L. - In: Journal of empirical finance 15 (2008) 3, pp. 549-566

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A Bayesian analysis of return dynamics with Lévy jumps

Li, Haitao; Wells, Martin T.; Yu, Cindy L. - In: The review of financial studies 21 (2008) 5, pp. 2345-2378

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Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...